Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.5928 |
| Annualized Std Dev | 0.8258 |
| Annualized Sharpe (Rf=0%) | -0.7179 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3111.0000 |
| NAs | 1.0000 |
| Minimum | -0.4514 |
| Quartile 1 | -0.0211 |
| Median | -0.0029 |
| Arithmetic Mean | -0.0022 |
| Geometric Mean | -0.0036 |
| Quartile 3 | 0.0151 |
| Maximum | 0.4122 |
| SE Mean | 0.0009 |
| LCL Mean (0.95) | -0.0040 |
| UCL Mean (0.95) | -0.0003 |
| Variance | 0.0027 |
| Stdev | 0.0520 |
| Skewness | -0.2733 |
| Kurtosis | 15.9324 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0370 |
| Gain Deviation | 0.0424 |
| Loss Deviation | 0.0418 |
| Downside Deviation (MAR=210%) | 0.0419 |
| Downside Deviation (Rf=0%) | 0.0380 |
| Downside Deviation (0%) | 0.0380 |
| Maximum Drawdown | 1.0000 |
| Historical VaR (95%) | -0.0665 |
| Historical ES (95%) | -0.1273 |
| Modified VaR (95%) | -0.0749 |
| Modified ES (95%) | -0.0749 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-12 | NA | -1.0000 | 3102 | 3096 | NA |
| 2008-11-13 | 2008-11-13 | 2008-11-17 | -0.2322 | 3 | 1 | 2 |
| 2008-11-07 | 2008-11-07 | 2008-11-10 | -0.0513 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 41.2 | -8.3 | 29.5 |
| 2009 | 7.4 | 13.6 | -5.8 | 3.6 | -4.5 | 1.1 | -1.9 | 13.9 | 11.7 | 12.5 | -1 | 1.3 | 62 |
| 2010 | -4.4 | -1 | -2.5 | 7.2 | 6.6 | 2 | 0.1 | -10.9 | -2.3 | 0 | -5.7 | -0.2 | -11.7 |
| 2011 | -5.5 | 6.2 | -2.4 | 0.3 | 9.5 | -5.5 | 1.1 | 6.3 | 9 | 13.1 | 1.6 | 1.6 | 39.3 |
| 2012 | -4.6 | -3.5 | -1.1 | -3.1 | 10.4 | -7.4 | 1.5 | -1.6 | -1.1 | -3.7 | -0.1 | -3.7 | -17.6 |
| 2013 | -3.5 | -0.9 | 1.1 | 3.1 | 4.2 | -1.5 | -4.8 | 1.7 | -2.3 | -0.9 | 0.9 | -1.1 | -4.4 |
| 2014 | 3.5 | -1.8 | -1.2 | -0.6 | -0.4 | -1.9 | 2.1 | -1.3 | 3.2 | -3.6 | 2.3 | 3.3 | 3.4 |
| 2015 | 3.8 | 1 | 0.2 | -1.9 | -0.6 | -3.7 | 0.8 | 9.2 | -0.9 | 3.8 | -3.1 | 2.8 | 11.3 |
| 2016 | 0.9 | -10.1 | -2.3 | 2 | -0.8 | 1.3 | 0.6 | 0.9 | -2.5 | 2.4 | -1.8 | -0.9 | -10.5 |
| 2017 | 0.7 | -5.9 | 1.5 | -1.5 | -2.9 | 0.4 | -2 | -0.9 | -1 | -0.5 | -0.4 | 1.1 | -11 |
| 2018 | -1.2 | 4.3 | -3.2 | -1 | -2.5 | -0.1 | -0.9 | 0 | 0.1 | -1.8 | -2.3 | -2.5 | -10.8 |
| 2019 | -1.5 | -1.3 | -4.9 | 2.2 | 2.8 | -2.8 | 4.2 | -0.5 | 4.7 | -3 | 0.6 | -0.9 | -0.8 |
| 2020 | 6.2 | 6 | 17.8 | 8.7 | -3.6 | -0.6 | 0.1 | -1.2 | -0.9 | -1.1 | -4.8 | -3.7 | 22.9 |
| 2021 | -3.8 | -9 | 3.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -9.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-06 2.29e6 SPY 90.9 -0.0554 -0.0565 -0.0682 -0.298 -0.386 -0.256 -0.142 GLD 72.2 -0.008 -0.0067
2 2008-11-07 2.17e6 SPY 93.9 0.033 -0.0307 0.0348 -0.282 -0.362 -0.232 -0.118 GLD 72.5 0.0039 0.0163
3 2008-11-10 2.35e6 SPY 92.6 -0.0131 -0.0461 0.0467 -0.284 -0.362 -0.242 -0.123 GLD 73.6 0.0149 0.0349
4 2008-11-11 2.51e6 SPY 89.8 -0.0309 -0.106 -0.114 -0.302 -0.375 -0.266 -0.146 GLD 72.0 -0.0208 -0.0454
5 2008-11-12 2.99e6 SPY 85.8 -0.044 -0.108 -0.140 -0.338 -0.420 -0.304 -0.184 GLD 70 -0.0285 -0.0385
6 2008-11-13 2.29e6 SPY 91.2 0.0623 0.0034 0.0128 -0.300 -0.383 -0.263 -0.143 GLD 72.2 0.0307 -0.001
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
